The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Nov, 1987, Volume 55, Issue 6
https://doi.org/0012-9682(198711)55:6<1433:FEFTAS>2.0.CO;2-V
p. 1433-1450
Makoto Yano, Paul Weller
We investigate the effect of opening a forward or futures market on spot price or real exchange rate variability in a two-agent, two-good, two-state general equilibrium model. We derive a linear approximation to the change in spot price variability which results from opening such a market. This is shown to depend upon such familiar parameters as substitution elasticities, marginal propensities to consume, and degrees of risk aversion. Our analysis highlights the importance of the income transfers which occur as a result of capital gains and losses in the forward market. We find that there is some presumption in favor of the view that opening a forward market reduces spot price variability. The presumption is strengthened the less risk averse are agents.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
